Inverting the Hodrick-Prescott Filter
AbstractThe Hodrick-Prescott (HP) filter is the most popular method of transforming data in the Real Business Cycle (RBC) literature. An algorithm to invert the Hodrick-Prescott (HP) filter is described. This algorithm is applied, using Markov chain Monte Carlo methods, to the problem of evaluating a simple RBC model. The problem of determining the optimal smoothing parameter for the HP filter is also studied. Copyright 2002 by Kluwer Academic Publishers
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Bibliographic InfoArticle provided by Society for Computational Economics in its journal Computational Economics.
Volume (Year): 20 (2002)
Issue (Month): 3 (December)
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- Adrian Pagan & Tim Robinson, 2011. "Assessing Some Models of the Impact of Financial Stress upon Business Cycles," RBA Research Discussion Papers rdp2011-04, Reserve Bank of Australia.
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